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Samsung KODEX BIO ETF backtest

10 trend-following strategies were compared on the full daily history of Samsung KODEX BIO ETF. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.2%, MDD -37.8%).

Data 2016-05-13 ~ 2026-07-31daily bars 2,476 (10.2 years)Costs 0.5%Venue KRXMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -3.3%, drawdown -61.3%).

Sharpe leader (same as main): Parabolic SAR — CAGR 9.7%, MDD -44.5%, Sharpe 0.57, 49% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 7.2%, MDD -37.8%, exposure 29%).

The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.

Strategy · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Parabolic SAR
step=0.005, maxStep=0.18
9.7%-44.5%0.570.222.6x7449%
ROC 모멘텀
n=155, threshold=0.11
7.2%-37.8%0.470.192.0x5629%
Keltner 채널 돌파
emaPeriod=14, atrPeriod=30, mult=1.2
4.3%-45.5%0.350.091.5x11831%
SMA 크로스오버
fast=58, slow=162
4.9%-56.5%0.330.091.6x1649%
Supertrend
period=6, mult=3.4
3.8%-51.1%0.290.071.5x6246%
EMA 크로스오버
fast=14, slow=32
2.9%-54.4%0.240.051.3x6249%
볼린저 밴드 돌파
n=13, k=1.7
2.1%-43.0%0.210.051.2x13031%
Donchian 채널 돌파
entryN=107, exitN=65
1.1%-59.2%0.160.021.1x1639%
ADX / DI 방향성
period=10, threshold=18
-0.0%-45.8%0.09-0.001.0x18236%
MACD
fast=13, slow=50, signal=13
-2.5%-53.7%-0.02-0.050.8x12849%
Buy and hold-3.3%-61.3%0.07-0.050.7x1100%
1x 2017 2019 2021 2023 2025 Parabolic SARBuy and hold
Parabolic SAR: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -15% -31% -46% -61% 2017 2019 2021 2023 2025 Buy and holdParabolic SAR
Parabolic SAR maximum drawdown -44.5% (2020-12-21 → 2023-11-13), prior peak not yet recovered.

Rules of the top strategy

Trades around the Parabolic SAR dots that accelerate toward price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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